lgarch: Simulation and Estimation of Log-GARCH Models
Version 0.6-2

Simulation and estimation of univariate and multivariate log-GARCH models. The main functions of the package are: lgarchSim(), mlgarchSim(), lgarch() and mlgarch(). The first two functions simulate from a univariate and a multivariate log-GARCH model, respectively, whereas the latter two estimate a univariate and multivariate log-GARCH model, respectively.

Browse man pages Browse package API and functions Browse package files

AuthorGenaro Sucarrat
Date of publication2015-09-15 19:46:40
MaintainerGenaro Sucarrat <genaro.sucarrat@bi.no>
LicenseGPL-2
Version0.6-2
URL http://www.sucarrat.net/
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("lgarch")

Man pages

coef.lgarch: Extraction methods for 'lgarch' objects
coef.mlgarch: Extraction methods for 'mlgarch' objects
gdiff: Difference a vector or a matrix, with special treatment of...
glag: Lag a vector or a matrix, with special treatment of zoo...
lgarch: Estimate a log-GARCH model
lgarchObjective: Auxiliary functions
lgarch-package: Simulation and estimation of log-GARCH models
lgarchSim: Simulate from a univariate log-GARCH model
mlgarch: Estimate a multivariate CCC-log-GARCH(1,1) model
mlgarchObjective: Auxiliary functions
mlgarchSim: Simulate from a multivariate log-GARCH(1,1) model
rmnorm: Random number generation from the multivariate normal...

Functions

ARMARECURSION1 Source code
LGARCHSIM Source code
VARMARECURSION1 Source code
coef.lgarch Man page Source code
coef.mlgarch Man page Source code
fitted.lgarch Man page Source code
fitted.mlgarch Man page Source code
gdiff Man page Source code
glag Man page Source code
lgarch Man page Source code
lgarch-package Man page
lgarchObjective Man page Source code
lgarchRecursion1 Man page Source code
lgarchSim Man page Source code
logLik.lgarch Man page Source code
logLik.mlgarch Man page Source code
mlgarch Man page Source code
mlgarchObjective Man page Source code
mlgarchRecursion1 Man page Source code
mlgarchSim Man page Source code
print.lgarch Man page Source code
print.mlgarch Man page Source code
residuals.lgarch Man page Source code
residuals.mlgarch Man page Source code
rmnorm Man page Source code
rss Man page Source code
summary.lgarch Man page Source code
summary.mlgarch Man page Source code
vcov.lgarch Man page Source code
vcov.mlgarch Man page Source code

Files

src
src/lgarch.cpp
NAMESPACE
NEWS
R
R/lgarchSim.R
R/fitted.mlgarch.R
R/logLik.mlgarch.R
R/gdiff.R
R/lgarch-internal.R
R/vcov.mlgarch.R
R/print.lgarch.R
R/rss.R
R/coef.mlgarch.R
R/rmnorm.R
R/logLik.lgarch.R
R/mlgarchObjective.R
R/mlgarchSim.R
R/mlgarchRecursion1.R
R/residuals.mlgarch.R
R/lgarchObjective.R
R/fitted.lgarch.R
R/glag.R
R/summary.lgarch.R
R/vcov.lgarch.R
R/residuals.lgarch.R
R/lgarchRecursion1.R
R/summary.mlgarch.R
R/mlgarch.R
R/print.mlgarch.R
R/lgarch.R
R/coef.lgarch.R
MD5
DESCRIPTION
man
man/lgarch.Rd
man/mlgarchObjective.Rd
man/rmnorm.Rd
man/lgarchObjective.Rd
man/lgarchSim.Rd
man/coef.mlgarch.Rd
man/mlgarch.Rd
man/glag.Rd
man/lgarch-package.Rd
man/mlgarchSim.Rd
man/gdiff.Rd
man/coef.lgarch.Rd
lgarch documentation built on May 19, 2017, 6:52 a.m.